Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 2 3 9
Score -7.06 -4.8 -0.97
Market Cap (Millions USD) 6887.9 6619.32 6936.61
Predicted Beta 0.42 0.42 0.56
Idiosyncratic Volatility 8.43 6.04 9.62

Annualized return and volatility

IBB
Annualized Return 0.0702
Annualized Std Dev 0.2626
Annualized Sharpe (Rf=0%) 0.2675

Row

Daily Return Statistics

IBB
Observations 4828.0000
NAs 286.0000
Minimum -0.0904
Quartile 1 -0.0079
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0092
Maximum 0.0987
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0165
Skewness -0.0908
Kurtosis 2.7501

Downside Risk

IBB
Semi Deviation 0.0119
Gain Deviation 0.0111
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0165
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.6285
Historical VaR (95%) -0.0271
Historical ES (95%) -0.0387
Modified VaR (95%) -0.0263
Modified ES (95%) -0.0400
From Trough To Depth Length To Trough Recovery
2001-06-06 2002-07-10 2011-04-27 -0.6285 2531 277 2254
2015-07-21 2016-06-27 NA -0.3924 1136 241 NA
2001-02-13 2001-04-03 2001-05-22 -0.3469 70 36 34
2011-07-11 2011-08-08 2012-01-10 -0.2266 130 21 109
2014-02-26 2014-04-14 2014-08-26 -0.2118 129 35 94

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IBB
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA -1.8 0.0 0.8 2.0 0.0 0.0 0.0 0.2 1.2 0.0 0.0 2.3
2002 0.8 0.5 1.0 -0.8 0.0 -9.0 -4.0 0.0 4.1 1.6 0.0 0.0 -6.3
2003 0.0 0.0 0.5 1.7 0.0 -0.1 -2.5 0.0 1.2 0.0 2.7 0.0 3.4
2004 0.0 1.2 1.4 0.0 0.7 -0.9 0.0 1.7 1.9 -0.2 1.8 0.0 7.7
2005 0.4 0.3 -0.9 0.0 0.4 -0.1 1.4 0.7 0.0 -1.3 0.6 0.0 1.6
2006 2.0 1.1 0.0 -1.3 2.0 0.0 -0.8 0.8 0.0 -1.4 -0.4 0.0 1.9
2007 1.2 -2.1 0.0 0.5 0.3 0.0 -0.5 0.0 1.2 -1.5 0.0 0.0 -1.0
2008 2.2 0.0 3.3 2.3 0.0 1.7 -0.3 0.0 -0.8 0.0 -6.8 0.0 1.2
2009 0.0 0.0 -2.1 -1.4 0.7 -0.6 0.0 -1.1 -3.1 0.0 1.5 0.0 -6.0
2010 0.6 2.4 1.0 0.0 -1.9 -1.9 0.0 2.9 0.0 -0.5 1.2 0.0 3.7
2011 0.7 -0.7 0.7 0.0 -2.0 1.0 -1.5 -1.5 0.0 -2.1 0.2 0.0 -5.0
2012 2.2 1.2 0.0 -0.4 -3.0 0.0 -1.9 0.0 0.7 1.7 0.0 0.0 0.3
2013 1.5 1.2 -0.2 -0.7 0.0 2.5 1.4 0.0 2.0 0.4 0.0 0.0 8.3
2014 0.0 0.0 2.2 1.0 0.0 2.4 -0.2 0.0 -1.5 0.0 -1.1 0.0 2.7
2015 0.0 0.0 -1.0 3.1 -0.1 0.3 0.0 -2.5 0.5 0.0 0.5 0.0 0.8
2016 0.6 4.4 2.9 0.0 0.5 2.1 1.6 0.2 0.0 0.9 -1.7 0.0 12.0
2017 0.8 1.2 0.0 0.6 1.8 0.0 -1.0 0.7 0.0 -0.6 0.4 0.0 4.0
2018 -0.1 -1.0 0.0 0.4 1.3 0.0 0.6 0.0 -0.6 3.8 0.0 0.0 4.4
2019 0.5 2.1 0.1 -0.8 0.0 0.6 0.7 0.0 -1.5 2.3 0.0 0.5 4.5

Row

Rolling Performance Chart

Snail Trail Chart